新型期权模型研究  

New Option Model

作　　者：程凤林[1] 

机构地区：[1]衡水学院数学与计算机学院,河北衡水053000

出　　处：《河北北方学院学报（自然科学版）》2012年第2期55-57,共3页Journal of Hebei North University:Natural Science Edition

基　　金：衡水学院院级重点课题(2011008)

摘　　要：分别介绍了篮子期权和亚式期权这两种新型期权定价模型.使用Mellin变换法在Black-Scholes模型框架下研究了常值波动率及无风险利率情况下,求解和分析了一篮子期权的定价模型;以算术平均价格的平均价格型亚式看涨期权为例来建立亚式期权定价模型.这两种新型定价模型较之标准期权定价模型有较大优势,因而对它们的研究具有现实意义.This paper describes two new option pricing models which are the basket option pricing model and Asian option pricing model.Mellin transform is used to solve and analyze the basket option pricing model in the case of constant volatility and risk-free rate under the framework of Black-Scholes model.Taking the arithmetic average price of the average price of Asian call option as an example,this paper establishes Asian option pricing model.These two new pricing models compared with the standard option pricing models have a greater advantage.Therefore,the research has practical significance.

关 键 词：定价模型 期权 新型模型 篮子期权 亚式期权 

分 类 号：F224.9[经济管理—国民经济]